DSP-100K: Diversified Systematic Portfolio

A production-ready algorithmic portfolio management system targeting $100,000 with Reg-T margin, implementing a three-sleeve diversified strategy.

Overview

DSP-100K implements a systematic approach to portfolio management with three independent return drivers:

Sleeve	Strategy	Allocation	Volatility Target
Sleeve A	Equity Momentum (Long-Only) + SPY Hedge	Configurable (default 60% NAV)	5% cap
Sleeve B	Cross-Asset Trend ETFs	30% NAV	3.5%
Sleeve DM	ETF Dual Momentum (asset-class rotation)	Configurable	8% target (conservative estimator)
Sleeve C	SPY Put-Spread Hedge	1.25% annual budget	N/A

Note: Sleeve B and Sleeve DM are mutually exclusive in production to avoid overlapping ETF exposure.

Key Features

• Risk Management: 7% portfolio vol target, 8% cap, 6% DD warning, 10% hard stop
• Double-Strike Protection: Automatic 50% deleveraging after 2 drawdown breaches in 365 days
• Margin Control: 60% utilization cap with what-if checking
• IBKR Integration: Full broker integration via ib_insync
• Execution Window: 09:35-10:15 ET with marketable limit orders

Installation

# Clone the repository
git clone https://github.com/your-org/dsp100k.git
cd dsp100k

# Create virtual environment
python -m venv venv
source venv/bin/activate  # On Windows: venv\Scripts\activate

# Install dependencies
pip install -e .

# Or for development
pip install -e ".[dev]"

Configuration

Copy and modify the default configuration:

cp config/dsp100k.yaml config/my_config.yaml

Or use the ready-to-run Dual Momentum config:

dsp --config config/dsp100k_etf_dual_momentum.yaml validate
dsp --config config/dsp100k_etf_dual_momentum.yaml plan
dsp --config config/dsp100k_etf_dual_momentum.yaml run

Key configuration sections:

# IBKR connection
ibkr:
  host: "127.0.0.1"
  port: 7497  # Paper trading
  client_id: 100

# Risk settings
risk:
  vol_target: 0.07      # 7% portfolio volatility
  dd_warning: 0.06      # 6% drawdown warning
  dd_hard_stop: 0.10    # 10% hard stop
  margin_cap: 0.60      # 60% margin cap

# Execution window
execution:
  window_start: "09:35"
  window_end: "10:15"

Usage

Validate Setup

# Check configuration and IBKR connectivity
dsp --config config/dsp100k.yaml validate

Run Daily Execution

# Run the daily trading cycle
dsp run

# Force execution (even if market closed)
dsp run --force

Check Status

# Show system status and risk metrics
dsp status

# Show current positions
dsp positions

# Show Sleeve B trend signals
dsp signals

Verbose Mode

# Enable debug logging
dsp -v run

Architecture

dsp100k/
├── src/dsp/
│   ├── cli.py              # CLI entry point
│   ├── ibkr/               # IBKR client and models
│   ├── data/               # Data fetching and caching
│   ├── sleeves/            # Sleeve B and C implementations
│   ├── risk/               # Risk management
│   ├── execution/          # Order execution and orchestration
│   └── utils/              # Configuration, logging, time utilities
├── config/
│   └── dsp100k.yaml        # Default configuration
└── tests/                  # Test suite

Sleeve Strategies

Sleeve A: Equity Momentum + SPY Hedge (v1.0)

Large-cap long-only 12-1 momentum with a SPY short hedge to reduce (not neutralize) equity beta:

• Universe: Static, versioned YAML with sectors at config/universes/sleeve_a_universe.yaml
• Signal: 12-month return skipping the most recent month (12-1 convention)
• Selection: Top n_long names by momentum (monthly)
• Caps: 4% single-name cap, 20% sector gross cap
• Hedge: SPY short capped at 20% of sleeve NAV to reduce beta (default beta limit 0.60)

Sleeve B: Cross-Asset Trend

Non-equity ETF trend-following with multi-horizon signals:

• Signal: 0.25 × 1M + 0.50 × 3M + 0.25 × 12M (skip most recent month)
• Universe: TLT, GLD, USO, UUP, etc. (no equity ETFs)
• Sizing: Inverse-volatility weighting to 3.5% vol target
• Caps: 15% single-name maximum

Sleeve DM: ETF Dual Momentum (Asset-Class Rotation)

Monthly rotation across a diversified ETF universe (no single-stock survivorship issues):

• Signal: 12-month return skipping the most recent month (12-1 convention)
• Selection: Hold top K assets with momentum > 0, else hold cash_symbol (e.g., SHY)
• Sizing: Equal weight across selected assets, then scale by a conservative vol estimate to the target
• Rebalance: First NYSE trading day of month (execution at the configured window)

Sleeve C: Put-Spread Hedge

SPY put spreads for tail protection:

• Structure: 25-delta long put, 10-delta short put
• Budget: 1.25% annual (premium paid)
• Roll: At 10 DTE, target 30-45 DTE
• Sizing: Budget-based, max 5 spreads

Risk Controls

Control	Threshold	Action
Portfolio Vol	> 8%	Scale positions to hit cap
Drawdown	> 6%	Strike 1 logged
Drawdown	> 10%	HALT TRADING - liquidate to cash
Double Strike	2 in 365 days	50% exposure for 30 days
Margin	> 60%	Block new exposure

Development

# Install dev dependencies
pip install -e ".[dev]"

# Run tests
pytest

# Format code
black src tests
isort src tests

# Type checking
mypy src

# Lint
ruff src tests

Paper Trading Checklist

Before running with real capital:

1. Run paper trading for minimum 2 weeks
2. Verify fill rates and slippage match expectations
3. Confirm EOD flat rates > 95%
4. Test drawdown and circuit breaker behavior
5. Verify option chain fetching works correctly
6. Review audit logs for any anomalies

Disclaimer

This software is for educational and informational purposes only. It is not financial advice. Trading involves substantial risk of loss. Past performance does not guarantee future results. Use at your own risk.

License

MIT License - see LICENSE file for details.